Dancing with the Trend

February 2019

Dancing with the Trend

Pair Analysis - 3

by Greg Morris

The is the third article on Pair Analysis.  Here I will show the results for several different pair combinations with reduced commentary.  If you have not read the previous two articles on Pair Analysis, I strongly suggest you do so before continuing with this one. Recall, the pair analysis is accomplished on weekly data.   Think of the ratio line like this: when it is moving upward it means the numerator is outperforming the denominator.  When the Rate of Change (ROC) goes below the -4% line, it means the numerator is no longer outperforming the denominator Read More 

Dancing with the Trend

Pair Analysis - 2

by Greg Morris

To prove that I read all comments, here are some pair charts and data that is  updated to 12/31/2018. First a review of what pair analysis is. My pair analysis is accomplished on weekly data.   Think of the ratio line like this: when it is moving upward it means the numerator (IJR) is outperforming the denominator (IEF).  When the Rate of Change (ROC) goes below the -4% line, it means the numerator (IJR) is no longer outperforming the denominator (IEF). Hence, you want to rotate into the denominator (IEF); or sell IJR and buy IEF.  Complementarily, when the ROC Read More 

Dancing with the Trend

Core Rotation Strategy

by Greg Morris

This article expands on the pair analysis discussed in the previous article.  In that article I showed a simple process of trading a ratio of non-correlated ETFs, in particular the S&P 600 Small Cap (IJR) and the BarCap 7 to 10-year Treasury ETF (IEF).  Using a 4% trigger to switch from one to the other.  Here I expand that concept to build a strategy using 4 different ratios with each one representing 25% of the portfolio.  Table A shows the pairs used with an equal allocation of 25% each given to the four pairs.  This concept was originally designed to manage Read More